Interest Rate Risk on the Banking Book (IRRBB) and Deposits Subject Matter Expert (SME)

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Job Overview

Treasury’s Balance Sheet Management (“BSM”) unit’s responsibilities cover six key areas:

• Non-Traded Market Risk Management:
  • Interest Rate Risk on the Banking Book (IRRBB) management: Designs, implements and oversees firmwide IRRBB Policy, methodology and management.
  • Other Non-Traded Market Risk Management: Designs, implements and oversees firmwide Non-traded Market risk excluding IRRBB (i.e. foreign exchange, credit spread, commodity, equity pricing risk etc.) firmwide Policy, methodology and management.
• Funds Transfer Pricing and Capital Attribution: Designs, implements and oversees firmwide Policy, methodology and management for FTP and Capital Attribution,
• Analytics and Modeling: Owns BSM modelling Standard, Develops and works with Model Risk Management to validate models across BSM and other Treasury functions.  Designs and implements global analytical and business information solutions to support Treasury decision making.
• Asset Allocation: Designs, implements and oversees firmwide Policy, methodology and management of Treasury’s allocation process setting security portfolio composition for Citi’s $400bn+ global securities portfolios.
• Methodology and Transformation: Leads cross functional working groups to design and evolve BSM frameworks and methodologies.  Leads key transformation projects across the BSM function in partnership with the individual teams.  

Responsibilities

The IRRBB and Deposits SME will directly report to the Head of Balance Sheet management.

The IRRBB SME is an industry leading expert on Interest Rate Risk on the banking book analysis and modelling.  Key responsibilities include:

• Advises the Treasurer, ALCO, IFRC (Interest Rate and FX Risk committee) and Treasury Risk Oversight Committee (TROC) on:
  • Balance Sheet Strategy with a focus on competitive environment, evolving customer behavior and potential impacts on customer pricing
  • Strategic design and development of IRRBB modelling approaches
  • Industry best practice
  • Target state for Citi’s ALM infrastructure
• Trains BSM team members on Deposit behavior, modelling approaches and analytical frameworks
• Provides first line review and challenge for all BSM modelling

Skills:

• Industry thought leader on bank customer behavior, with over a decade of experience in analyzing deposits
• Advanced modelling expertise
• Advanced communication skills, both written and verbal;
• Strong influencing skills;
• Proven ability to partner across a wide range of stakeholders;
• Robust problem solving and analytical skills

Qualifications

• Bachelor’s degree in Finance, Accounting, Science, Business or related field, MBA is a plus;
• 20+ years of experience in the financial services industry with a focus on modelling customer behavior;
• Extensive experience in a senior role as part of Treasury and/or Finance;
• Familiarity with financial markets, interest rate environment, monetary policy and financial services regulations;
• Proficiency in Microsoft Office – particularly PowerPoint (presentation decks), Word (business writing)

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Job Family Group:

Risk Management

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Job Family:

Treasury Risk

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Time Type:

Full time

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Primary Location:

615 S COLLEGE STREET

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Primary Location Full Time Salary Range:

$250,000.00 - $500,000.00

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Most Relevant Skills

Business Acumen, Data Analysis, Financial Modeling, Internal Controls, Management Reporting, Market Risk, Problem Solving, Process Execution, Risk Identification and Assessment.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Oct 15, 2025

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